Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229492
Authors: 
Caporale, Guglielmo Maria
Gil-Alaña, Luis A.
Year of Publication: 
2020
Series/Report no.: 
CESifo Working Paper No. 8674
Abstract: 
This paper uses fractional integration and cointegration methods to analyse the determinants of the amount of loans provided to non-financial corporations (NFCs) during the last three decades in four Eurozone countries, namely Germany, France, Italy and Spain. More specifically, ARFIMA (AutoRegressive Fractionally Integrated Moving Average) and FCVAR (Fractionally Cointegrated Vector Autoregression) models are estimated and then forecasts are also produced. All series are found to be highly persistent and long-run equilibrium relationships between them are also identified, confirming the role of real GDP and real gross investment as determinants of loans to NFCs. The forecasting accuracy of the FCVAR was also assessed by comparing it to that of the ARFIMA specifications, and the former were found to outperform the latter in all cases.
Subjects: 
non-financial corporations
loans
Eurozone
long-memory
fractional integration and cointegration
JEL: 
C22
C32
C51
H81
Document Type: 
Working Paper

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